/// <summary>
/// Get the contract for the historical data request for a specified start date
/// </summary>
/// <param name="startDate"></param>
///
/// <returns></returns>
private Contract GetCurrentContract(DateTime startDate)
{
Contract contract;
if (TickerData.SymbolParts.IsContinuous)
{
string exStr = startDate.ToString("yyyyMMdd");
int i = 0;
for (; i < TickerData.contractDetailsList.Count - 1; i++)
{
if (TickerData.contractDetailsList[i].Contract.LastTradeDateOrContractMonth.CompareTo(exStr) >= 0)
{
break;
}
}
contract = TickerData.contractDetailsList[i].Contract;
}
else
{
contract = TickerData.ContractDetails.Contract;
}
contract.IncludeExpired = IBClientHelper.IsContractExpired(contract);
// TODO: Do we need it? Does not hurt...
if (string.IsNullOrEmpty(contract.LocalSymbol))
{
LogAndMessage.Log(MessageType.Trace, "No valid security for continuous contract.");
return(null);
}
return(contract);
}
/// <summary>
/// Writes an error message sent by TWS to the log file and queues it for the plugin notification area
/// </summary>
/// <param name="tickerData"></param>
/// <param name="context"></param>
/// <param name="e"></param>
internal static void LogAndQueue(TickerData tickerData, string context, int id, int errorCode, string errorMsg)
{
MessageType messageType = IBClientHelper.GetMessageType(errorCode);
if (IsLoggable(messageType))
{
LogMessage(messageType, GetTwsMessageForLog(tickerData, context, id, errorCode, errorMsg));
QueueMessage(messageType, GetTwsMessageForUser(tickerData, context, id, errorCode, errorMsg));
}
}
/// <summary>
/// Writes a message sent by TWS to the log file
/// </summary>
/// <param name="tickerData"></param>
/// <param name="context"></param>
/// <param name="e"></param>
internal static void Log(TickerData tickerData, string context, int id, int errorCode, string errorMsg)
{
MessageType messageType = IBClientHelper.GetMessageType(errorCode);
if (IsLoggable(messageType))
{
string message = GetTwsMessageForLog(tickerData, context, id, errorCode, errorMsg);
LogMessage(messageType, message);
}
}
internal bool IsFinished; // Response/Timeout/Error closed this request
internal Request(TickerData tickerData)
{
if (tickerData == null)
{
throw new ArgumentNullException();
}
Id = IBClientHelper.GetNextReqId(); // this Id is used (instead of collections key) in case of HistoricalDataRequest and HeadTimestampRequest
// because the same logical request may result in more actual request (e.g timeouts and multiple download periods)
TickerData = tickerData;
IsFinished = false;
RequestTimeouts = 0;
}
private void SendBackfillRequest(FTController ibController)
{
if (downloadContract != null
// && (string.IsNullOrEmpty(contract.LastTradeDateOrContractMonth) || histStart.ToString("yyyyMMdd").CompareTo(contract.LastTradeDateOrContractMonth) <= 0)
&& (downloadStep > 24 * 60 || IBClientHelper.IsBankingHour(downloadStart) || IBClientHelper.IsBankingHour(downloadEnd))) //check if we need to queue a requests
{
//try to avoid intraday request for saturday-sunday
Id = IBClientHelper.GetNextReqId();
// add quotelist of subcontracts of continuous contract
if (TickerData.SymbolParts.IsContinuous)
{
if (!TickerData.ContinuousQuotesDictionary.ContainsKey(downloadContract.LocalSymbol))
{
TickerData.ContinuousQuotesDictionary.Add(downloadContract.LocalSymbol, new QuotationList(FTDataSource.Periodicity));
}
}
if (downloadPeriodicity <= Periodicity.FifteenSeconds) // download step is smaller than a day
{
LogAndMessage.LogAndQueue(MessageType.Info, TickerData.ToString(downloadContract) + ": Requesting data from " + downloadStart.ToShortDateString() + " " + downloadStart.ToShortTimeString() + " to " + downloadEnd.ToShortDateString() + " " + downloadEnd.ToShortTimeString() + " " + ToString(false, LogAndMessage.VerboseLog));
}
else
{
LogAndMessage.LogAndQueue(MessageType.Info, TickerData.ToString(downloadContract) + ": Requesting data from " + downloadStart.ToShortDateString() + " to " + downloadEnd.ToShortDateString() + " " + ToString(false, LogAndMessage.VerboseLog));
}
WaitingForResponse = true;
RequestTime = DateTime.Now;
ibController.SendHistoricalDataRequest(Id, downloadContract, downloadEnd, downloadStart, downloadPeriodicity, TickerData.SymbolParts.DataType);
}
else
{
// calc next download period
if (CalcNextBackfillRequest())
{
SendBackfillRequest(ibController);
}
}
}
private bool CalcNextBackfillRequest()
{
downloadStart = downloadStart.AddMinutes(downloadStep);
// if contiguous contract is being backfilled
if (TickerData.SymbolParts.IsContinuous)
{
DateTime currExp = IBClientHelper.GetContractExpiryDateTime(downloadContract);
if (currExp < downloadStart)
{
downloadContract = GetCurrentContract(currExp.AddDays(1));
downloadStart = currExp.AddMinutes(-downloadStep);
downloadStart = IBClientHelper.GetAdjustedStartDate(downloadStart, downloadPeriodicity, GetEarliestDownloadDate(), true);
}
}
// if no more to download
if (downloadPeriodicity < Periodicity.EndOfDay && downloadStart > DateTime.Now ||
downloadPeriodicity == Periodicity.EndOfDay && downloadStart.Date >= DateTime.Now.Date)
{
if (TickerData.QuoteDataStatus == QuotationStatus.DownloadingIntra)
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadedIntra;
}
if (TickerData.QuoteDataStatus == QuotationStatus.DownloadingEod)
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadedEod;
}
return(false);
}
// set the end of the download period
downloadEnd = downloadStart.AddMinutes(downloadInterval);
// indicate that more request is needed
return(true);
}
private void mBackfill_Click(object sender, EventArgs e)
{
if (firstGetQuotesExCall) // db periodicity not known yet
{
return;
}
if (string.IsNullOrEmpty(currentTicker)) // no selected ticker
{
return;
}
DateTime refreshStartDate = GetRefreshStartDate(sender);
refreshStartDate = IBClientHelper.GetAdjustedStartDate(refreshStartDate, Periodicity, DateTime.MinValue, false);
LogAndMessage.Log(MessageType.Info, currentTicker + ": Manual backfill from " + refreshStartDate.ToShortDateString() + ".");
StringCollection tickerToBackfill = new StringCollection();
tickerToBackfill.Add(currentTicker);
StartBackfills(refreshStartDate, tickerToBackfill);
}
internal override bool Process(FTController ibController, bool allowNewRequest)
{
const int requestTimeoutPeriod = 20;
// if no contract received yet
if (TickerData.ContractStatus == ContractStatus.SendRequest || TickerData.ContractStatus == ContractStatus.WaitForResponse)
{
return(allowNewRequest);
}
// if no contract found
if (TickerData.ContractStatus != ContractStatus.Ok)
{
TickerData.HeadTimestampStatus = HeadTimestampStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
lock (TickerData) // request handling
{
// if not waiting for response
switch (TickerData.HeadTimestampStatus)
{
// if marked to get headtimestamp
case HeadTimestampStatus.SendRequest:
if (allowNewRequest)
{
LogAndMessage.Log(TickerData, MessageType.Trace, "Requesting earliest data point. " + ToString(false, LogAndMessage.VerboseLog));
TickerData.HeadTimestampStatus = HeadTimestampStatus.WaitForResponse;
RequestTime = DateTime.Now;
ibController.SendHeadTimestampRequest(Id, TickerData);
}
return(false);
// if request is sent, but response has not arrived yet
// see ibClient_HeadTimestamp event handler
case HeadTimestampStatus.WaitForResponse:
// if no answer in time
if (RequestTime.AddSeconds(requestTimeoutPeriod) < DateTime.Now)
{
if (RequestTimeouts == 0)
{
LogAndMessage.LogAndQueue(TickerData, MessageType.Error, "Request of earliest data point timed out. Retrying. " + ToString(true, LogAndMessage.VerboseLog));
RequestTimeouts++;
TickerData.HeadTimestampStatus = HeadTimestampStatus.SendRequest;
Id = IBClientHelper.GetNextReqId();
goto case HeadTimestampStatus.SendRequest;
}
LogAndMessage.LogAndQueue(TickerData, MessageType.Error, "Request of earliest data point timed out. " + ToString(true, LogAndMessage.VerboseLog));
TickerData.HeadTimestampStatus = HeadTimestampStatus.Failed;
goto case HeadTimestampStatus.Failed;
}
return(allowNewRequest);
// if new, offline ticker
case HeadTimestampStatus.Offline:
// ticker's HeadTimestamp is updated
case HeadTimestampStatus.Ok:
// ticker's HeadTimestamp is NOT updated (we do not mark ticker as failed. it still may work!)
case HeadTimestampStatus.Failed:
IsFinished = true;
return(allowNewRequest);
// this is program error
default:
TickerData.HeadTimestampStatus = HeadTimestampStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
}
}
private void mBackfillAll_Click(object sender, EventArgs e)
{
if (firstGetQuotesExCall) // db periodicity not known yet
{
return;
}
if (string.IsNullOrEmpty(currentTicker)) // no selected ticker
{
return;
}
DateTime refreshStartDate = GetRefreshStartDate(sender);
refreshStartDate = IBClientHelper.GetAdjustedStartDate(refreshStartDate, Periodicity, DateTime.MinValue, false);
//
// collecting all tickers
//
int stockCount = 0;
StringCollection tickersInDatabase = new StringCollection();
LogAndMessage.Log(MessageType.Info, "Manual backfill of all tickers from " + refreshStartDate.ToShortDateString() + ".");
try
{
Type abAppType = Type.GetTypeFromProgID("Broker.Application");
object abApp = Activator.CreateInstance(abAppType);
// access AB COM interface to get current ticker
if (abAppType != null && abApp != null)
{
object abStocks = abAppType.InvokeMember("Stocks", BindingFlags.GetProperty, null, abApp, null);
Type abStocksType = abStocks.GetType();
// get the number of stocks in the db
stockCount = (int)abStocksType.InvokeMember("Count", BindingFlags.GetProperty, null, abStocks, null);
if (stockCount > 0)
{
Type abStockType = abStocksType.InvokeMember("Item", BindingFlags.GetProperty, null, abStocks, new object[] { 0 }).GetType();
for (int i = 0; i < stockCount; i++)
{
object abStock = abStocksType.InvokeMember("Item", BindingFlags.GetProperty, null, abStocks, new object[] { i });
if (abStock != null)
{
string ticker = (string)abStockType.InvokeMember("Ticker", BindingFlags.GetProperty, null, abStock, null);
if (!tickersInDatabase.Contains(ticker))
{
tickersInDatabase.Add(ticker);
}
}
}
}
else
{
LogAndMessage.Log(MessageType.Trace, "Manual backfill of all symbols failed. Database has no symbols.");
}
}
else
{
LogAndMessage.Log(MessageType.Warning, "Manual backfill of all symbols failed. ActiveX interface error.");
}
}
catch (Exception ex)
{
LogAndMessage.LogAndQueue(MessageType.Error, "Manual backfill of all symbols failed. Exception: " + ex);
}
StartBackfills(refreshStartDate, tickersInDatabase);
}
private void mBackfillWL_Click(object sender, EventArgs e)
{
if (firstGetQuotesExCall) // db periodicity not known yet
{
return;
}
if (string.IsNullOrEmpty(currentTicker)) // no selected ticker
{
return;
}
DateTime refreshStartDate = GetRefreshStartDate(sender);
refreshStartDate = IBClientHelper.GetAdjustedStartDate(refreshStartDate, Periodicity, DateTime.MinValue, false);
WatchlistForm watchlistForm = new WatchlistForm(DatabasePath);
if (DialogResult.OK != watchlistForm.ShowDialog() || watchlistForm.SelectedWatchlistIndices == null)
{
return;
}
int[] selectedWatchlistIndices = watchlistForm.SelectedWatchlistIndices;
watchlistForm.Dispose();
StringCollection tickersInWatchlists = new StringCollection();
ulong watchlistBits = 0;
foreach (int watchlistId in selectedWatchlistIndices)
{
watchlistBits |= (ulong)1 << watchlistId;
}
LogAndMessage.Log(MessageType.Info, "Manual backfill of watchlists (" + watchlistBits.ToString("0x") + ") from " + refreshStartDate.ToShortDateString() + ".");
try
{
Type abAppType = Type.GetTypeFromProgID("Broker.Application");
object abApp = Activator.CreateInstance(abAppType);
// access AB COM interface to get current ticker
if (abAppType != null && abApp != null)
{
object abStocks = abAppType.InvokeMember("Stocks", BindingFlags.GetProperty, null, abApp, null);
Type abStocksType = abStocks.GetType();
// get the number of stocks in the db
int stockCount = (int)abStocksType.InvokeMember("Count", BindingFlags.GetProperty, null, abStocks, null);
if (stockCount > 0)
{
Type abStockType = abStocksType.InvokeMember("Item", BindingFlags.GetProperty, null, abStocks, new object[] { 0 }).GetType();
for (int i = 0; i < stockCount; i++)
{
object abStock = abStocksType.InvokeMember("Item", BindingFlags.GetProperty, null, abStocks, new object[] { i });
if (abStock != null)
{
string ticker = (string)abStockType.InvokeMember("Ticker", BindingFlags.GetProperty, null, abStock, null);
uint watchlistBits1 = (uint)(int)abStockType.InvokeMember("WatchListBits", BindingFlags.GetProperty, null, abStock, null);
uint watchlistBits2 = (uint)(int)abStockType.InvokeMember("WatchListBits2", BindingFlags.GetProperty, null, abStock, null);
ulong watchlistBitsCombined = (watchlistBits2 << 32) + watchlistBits1;
if ((watchlistBitsCombined & watchlistBits) != 0)
{
if (!tickersInWatchlists.Contains(ticker))
{
tickersInWatchlists.Add(ticker);
}
}
}
}
}
else
{
LogAndMessage.Log(MessageType.Trace, "Manual backfill of watchlists failed. Database has no symbols.");
}
}
else
{
LogAndMessage.Log(MessageType.Warning, "Manual backfill of watchlists failed. ActiveX interface error.");
}
}
catch (Exception ex)
{
LogAndMessage.LogAndQueue(MessageType.Error, "Manual backfill of watchlists failed. Exception: " + ex);
}
if (tickersInWatchlists.Count == 0)
{
LogAndMessage.Log(MessageType.Trace, "Manual backfill of watchlists failed. Selected watchlists have no symbols.");
}
else
{
StartBackfills(refreshStartDate, tickersInWatchlists);
}
}
private void StartBackfills(DateTime refreshStartDate, StringCollection tickersToBackfill)
{
if (tickersToBackfill.Count == 0)
{
return;
}
//
// checking if long download is accepted
//
int stepSize = IBClientHelper.GetDownloadStep(Periodicity);
TimeSpan ts = DateTime.Now.Subtract(refreshStartDate);
int requestsNo = (int)Math.Ceiling(ts.TotalMinutes / stepSize * tickersToBackfill.Count);
// if mixed database, add number of EOD requests
requestsNo = (Periodicity != Periodicity.EndOfDay && Workspace.AllowMixedEODIntra != 0) ? requestsNo + tickersToBackfill.Count : requestsNo;
//
// checking if database can accomodate the data
//
// quoteNum is aproximate value
int quoteNum = (int)(ts.TotalSeconds / (int)Periodicity); // total number of bars if traded 24 hours
if (Periodicity != Periodicity.EndOfDay)
{
if (IBConfiguration.RthOnly)
{
quoteNum /= 3;
}
}
//
// building and showing warning
//
bool tooManyRequest = requestsNo > 3;
bool tooManyQuotes = quoteNum / 1.2 > Workspace.NumBars;
if (tooManyRequest || tooManyQuotes)
{
TimeSpan mts = new TimeSpan(0, 0, requestsNo * 10);
StringBuilder msg = new StringBuilder(500);
msg.Append("The requested data refresh");
if (tooManyRequest)
{
msg.Append(" may download more bar data (~");
msg.Append((quoteNum / 1.2).ToString("N0"));
msg.Append(") than your database can accomodate (");
msg.Append(Workspace.NumBars.ToString());
msg.Append(")");
}
if (tooManyRequest)
{
if (tooManyRequest)
{
msg.Append(" and it");
}
msg.Append(" may start a long data download operation (~");
msg.Append(mts);
msg.Append(")");
}
msg.AppendLine(".");
msg.AppendLine("Do you still want it?");
if (MessageBox.Show(msg.ToString(),
"Warning", MessageBoxButtons.YesNo, MessageBoxIcon.Warning) == DialogResult.No)
{
return;
}
}
//
// start backfills of selected length
//
foreach (var ticker in tickersToBackfill)
{
if (!controller.RefreshTicker(ticker, refreshStartDate))
{
LogAndMessage.LogAndQueue(MessageType.Warning, ticker + ": Cannot start manual backfill because ticker is being backfilled.");
}
}
}
internal override bool Process(FTController ibController, bool allowNewRequest)
{
int requestTimeoutPeriod = 75;
// if contract of the ticker is still being retrieved or headtimestamp of the ticker is needed (not Offline) AND not yet retrieved
if (TickerData.ContractStatus <= ContractStatus.WaitForResponse ||
((FTDataSource.Periodicity == Periodicity.EndOfDay || FTDataSource.AllowMixedEODIntra) && TickerData.HeadTimestampStatus <= HeadTimestampStatus.WaitForResponse))
{
return(allowNewRequest);
}
if (TickerData.ContractStatus == ContractStatus.Failed || TickerData.ContractStatus == ContractStatus.Offline ||
TickerData.HeadTimestampStatus == HeadTimestampStatus.Failed || (TickerData.HeadTimestampStatus == HeadTimestampStatus.Offline && (FTDataSource.Periodicity == Periodicity.EndOfDay || FTDataSource.AllowMixedEODIntra)))
{
TickerData.QuoteDataStatus = QuotationStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
lock (TickerData) // request handling
{
// if reqHistoricalData is send to IB and we are waiting for answer
if (WaitingForResponse)
{
// request is not yet timed out...
if (RequestTime.AddSeconds(requestTimeoutPeriod) > DateTime.Now)
{
return(allowNewRequest);
}
// no response arrived in time, request is timed out...
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Historical data request has timed out. " + ToString(true, LogAndMessage.VerboseLog));
RequestTimeouts++;
WaitingForResponse = false;
// if there were too many reqHistoricalData timeouts
if (RequestTimeouts > 2)
{
// drop this ticker...
TickerData.QuoteDataStatus = QuotationStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
}
// if no new request can be sent (request pacing)
bool histThrottling = !allowNewRequest || TickerData.QuoteDataStatus > QuotationStatus.New && RequestTime.AddSeconds(6.5) > DateTime.Now;
// process the ticker depending on its state
switch (TickerData.QuoteDataStatus)
{
case QuotationStatus.Offline:
LogAndMessage.Log(MessageType.Error, "Program error. Offline ticker cannot get historical update.");
IsFinished = true;
return(allowNewRequest);
// All historical data requests are processed for the ticker
// (the last CalcNextHistoricalDataRequest call sets this state)
case QuotationStatus.DownloadedEod:
#region Merging and backadjusting downloaded quotes of different contracts/expiry into a simgle QuotationList of the continuous contract
if (TickerData.SymbolParts.IsContinuous)
{
QuotationList mergedQuotes = new QuotationList(FTDataSource.Periodicity);
int newQuoteIndex;
foreach (ContractDetails cd in TickerData.contractDetailsList)
{
// if there were no quotes receiced for this contract...
if (!TickerData.ContinuousQuotesDictionary.ContainsKey(cd.Contract.LocalSymbol))
{
continue;
}
newQuoteIndex = 0;
if (mergedQuotes.Count > 0)
{
int mergedQuoteIndex = mergedQuotes.Count - 1;
AmiDate mergedQuoteDateTime = mergedQuotes[mergedQuoteIndex].DateTime;
// move forward to the first quote not overlqapping with prev contract
while (newQuoteIndex < TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol].Count - 1 && TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime.Date < mergedQuoteDateTime.Date)
{
newQuoteIndex++;
}
// at this point newQuoteIndex points to a quote of the "same" date as mergedQuoteDateTime (if there are quotes for the same day, if not, then the next day)
// if daily database then we look for a day where volume on older contract is greater (switch over day)
if (FTDataSource.Periodicity == Periodicity.EndOfDay)
{
// find the quote that has a lower volume
while (newQuoteIndex > 0 && mergedQuoteIndex > 0 &&
TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime.Date == mergedQuotes[mergedQuoteIndex].DateTime.Date && // quotes are of same date
TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].Volume > mergedQuotes[mergedQuoteIndex].Volume) // new contract's volume is higher then old contract's volume
{
newQuoteIndex--;
mergedQuoteIndex--;
}
// at this point newQuoteIndex and lastQuoteDateTime point to quote at which contract is replaced
}
if (TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime.Date != mergedQuotes[mergedQuoteIndex].DateTime.Date)
{
LogAndMessage.Log(MessageType.Info, TickerData.ToString(cd.Contract) + ": No overlapping quote found. Used dates to change contracts: " + mergedQuotes[mergedQuoteIndex].DateTime + " and " + TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime + ".");
}
else
{
LogAndMessage.Log(MessageType.Info, TickerData.ToString(cd.Contract) + ": Switching to new contract on " + mergedQuotes[mergedQuoteIndex].DateTime + ".");
}
// get "closing prices" of the contract on the same day
float closeOfNewer = TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].Price;
float closeOfOlder = mergedQuotes[mergedQuoteIndex].Price;
double priceMult = closeOfNewer / closeOfOlder;
// back-adjust prev contracts' prices
QuotationList tempList = new QuotationList(FTDataSource.Periodicity);
for (int i = 0; i < mergedQuoteIndex; i++)
{
Quotation quote = mergedQuotes[i];
quote.Open = (float)(quote.Open * priceMult);
quote.High = (float)(quote.High * priceMult);
quote.Low = (float)(quote.Low * priceMult);
quote.Price = (float)(quote.Price * priceMult);
tempList.Merge(quote);
}
mergedQuotes.Clear();
mergedQuotes = tempList;
}
// add quotes of newer contract
for (; newQuoteIndex < TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol].Count; newQuoteIndex++)
{
mergedQuotes.Merge(TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex]);
}
}
TickerData.Quotes = mergedQuotes;
}
#endregion
// this is not THROTTLED, but counted in general throttling queue
ibController.SendSubscriptionRequest(0, TickerData, false);
TickerData.QuoteDataStatus = QuotationStatus.Online;
return(allowNewRequest);
// this should never happen (ticker with online status should not be in the queue...)
case QuotationStatus.Online:
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Backfill finished, symbol is ready. ");
IsFinished = true;
return(allowNewRequest);
// if any error happend
case QuotationStatus.Failed:
// if intraday download received no data response
if (errorCode == 162 && FTDataSource.Periodicity < Periodicity.EndOfDay && FTDataSource.Periodicity > Periodicity.FifteenSeconds)
{
errorCode = 0;
// move forward 4 periods to speed up download/find first valid period with available data
CalcNextBackfillRequest();
CalcNextBackfillRequest();
CalcNextBackfillRequest();
LogAndMessage.Log(TickerData, MessageType.Trace, "No data returned, fast forward download period.");
// start next download
TickerData.QuoteDataStatus = QuotationStatus.DownloadingIntra;
return(allowNewRequest);
}
else
{
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Backfill failed, symbol is offline.");
IsFinished = true;
return(allowNewRequest);
}
// start historical data refresh
case QuotationStatus.New:
if (histThrottling)
{
return(false);
}
// calc download properties
downloadPeriodicity = FTDataSource.Periodicity;
downloadStep = IBClientHelper.GetDownloadStep(FTDataSource.Periodicity);
downloadInterval = IBClientHelper.GetDownloadInterval(FTDataSource.Periodicity);
downloadStart = IBClientHelper.GetAdjustedStartDate(TickerData.RefreshStartDate, FTDataSource.Periodicity, GetEarliestDownloadDate(), true);
downloadEnd = downloadStart.AddMinutes(downloadInterval);
downloadContract = GetCurrentContract(downloadStart);
// remove quotes already stored
TickerData.Quotes.Clear();
// set next state
if (FTDataSource.Periodicity == Periodicity.EndOfDay)
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadingEod;
}
else
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadingIntra;
}
// not to wait to send next request
RequestTime = DateTime.MinValue;
// download historical data
SendBackfillRequest(ibController);
return(false);
case QuotationStatus.DownloadingEod:
case QuotationStatus.DownloadingIntra:
if (histThrottling)
{
return(false);
}
// if previous request timed out
if (RequestTimeouts != 0)
{
SendBackfillRequest(ibController);
}
// download historical data
else if (CalcNextBackfillRequest())
{
SendBackfillRequest(ibController);
}
return(false);
// last CalcNextHistoricalDataRequest call for intraday bars should have set this state
case QuotationStatus.DownloadedIntra:
// if we need EOD data as well
if (FTDataSource.AllowMixedEODIntra)
{
if (histThrottling)
{
return(false);
}
// calc download properties for EOD
downloadPeriodicity = Periodicity.EndOfDay;
downloadStep = IBClientHelper.GetDownloadStep(Periodicity.EndOfDay);
downloadInterval = IBClientHelper.GetDownloadInterval(Periodicity.EndOfDay);
downloadStart = IBClientHelper.GetAdjustedStartDate(TickerData.RefreshStartDate, Periodicity.EndOfDay, GetEarliestDownloadDate(), true);
downloadEnd = downloadStart.AddMinutes(downloadInterval);
downloadContract = GetCurrentContract(downloadStart);
SendBackfillRequest(ibController);
TickerData.QuoteDataStatus = QuotationStatus.DownloadingEod;
}
else
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadedEod;
}
return(false);
default:
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Program error in backfill logic.");
IsFinished = true;
return(true);
}
}
}
